4816数理金融简单数值题short
Infer Forward Rate From a Caplet Payout 1
题目
A caplet with accrual delta=0.25, notional=5,000,000, and strike K=0.03 expires in the money and pays 5000. Using payoff = delta*N*max(L-K,0), what forward fixing L was realized at expiry?
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